The Logit Function and its Applications in Sports Modelling

Sam Hyatt-Twynam talks about the ‘logit’ function and its usage in statistical sports trading and modelling

Categories: All Sports, Professional, Statistical models, Technology, Tools

I’ve worked in sports modelling for the last 9 months, and there is one mathematical entity that has cropped up over and over again; the so called ‘logit’ function. The logit function takes a probability, p, and converts it to a value between -ve and +ve infinity using ln⁡(p/(1-p)), i.e. the natural logarithm of the ratio of the probabilities of the event occurring and not occurring.

The logit function can be used as a transformation to an excellent ‘space’ within which to work with probabilities. Say you’re trying to model a tennis match, and you naively claim that you have a 10% greater chance of winning a point on your serve than on your opponent’s serve. Sounds reasonable, but what if there is a very one sided match, where the favourite is expected to win 95% of points against their serve, clearly the 10% addition no longer applies. The problem is that linear shifts don’t work well in probability space, a 1% change in probability for a p = 0.5 event is far less consequential than a 1% change for a p = 0.02 event. This is a great shame, as linear additions form the backbone of most regressions and models. Instead we can transform our probability into a space where linear additions do make sense, apply the addition then transform back to probability space.

Logit-graph-1-300x289

A convenient choice is ‘logit space’. Take your probability, find ln⁡(p/(1-p)), add the shift, then use the inverse function (called the logistic function, 1/(1+e^(-x))) to return the value to a probability. As the logit function asymptotes to -ve and +ve infinity at P=0 and 1, we no longer have to worry about a shift taking us outside the viable range for probabilities, and, as you would hope, the shift causes a larger change in probability at 50% than at 2%.

Linear shifts in logit space are the mathematics behind logistic regressions. If you ever need to quantify the relationship between a ‘predictor variable’ and a probability, for instance the binary predictor variable ‘has the team received a red card’ and the probability of scoring a goal in a given minute of a football match, then logistic regressions are the way to go. My in-play basketball model relies heavily on multinomial logistic regressions. These are an extension of the logistic regression to calculate the effect of a predictor variable (or many predictor variables) on not just one, but a set of probabilities for an event with many possible outcomes. For instance, in basketball, how do the time through the match and the point difference affect the probabilities of each possible outcome of a possession, e.g. two point field goal, three point field goal, defensive rebound etc. Using the resulting regression coefficients you can create a function that ‘takes in’ values for the point difference and the time at which a possession occurs, and returns predicted probabilities for the outcome, with the logistic aspect ensuring the sum of the probabilities is always 1. I’d highly recommend using the ‘multinom’ function in R’s ‘nnet’ package. Although if you’re dealing with ‘Big Data’ of over a million samples, be prepared to set aside a couple of hours per regression.

The logit function can be used as a transformation to an excellent ‘space’ within which to work with probabilities.

Logit space is also very useful for quantifying your uncertainties in estimates of probabilities.For both bookmakers and sports traders it’s crucial to have a grasp of the accuracy of your price estimates. The ideal situation would be not just to assign a single value for the probability of an outcome, p, but to come up with a distribution, or probability density function (pdf), describing how likely you believe each value of p is to be the true value.

This opens up a plethora of new possibilities. For instance consider you want to price a snooker match. You have an initial estimate, p_A, for how likely ‘Player A’ is to win any given frame. However, what if during the match Player A is considerably outperforming your expectations; you want a system in place to update p_A accordingly. A mathematically correct way of automating this would be to use Bayesian Inference, which requires a distribution for your initial estimate for p_A, known as a ‘prior’ distribution. Typically in science, for physical measurements, the logical choice would be a normal distribution, however if this is used for p_A, you’re claiming there’s a chance p_A could be outside the range 0 to 1. Once again, logit space comes to the rescue; using a normal distribution in logit space (a logit-normal distribution) for your prior solves this issue, and leads to a narrower distribution at the extremities, as shown:

Logit-graph-2-300x298

 

You can now quantify your uncertainty in the initial value of p_A in the value of σ for your logit-normal prior. For the more high profile matches, where you know with tighter bounds the probability of Player A winning a frame, chose a smaller value of σ. Conversely, for obscure matches, assign a larger value of σ. If Player A starts to outperform expectations, the Bayesian Inference process will result in a larger shift in the distribution for the obscure match than for the high profile match. This makes sense, as you should be more willing to revise your shaky initial estimate for the obscure match, based on the evidence provided by Player A’s performance, than your more confident estimate for the high profile match.

Now that you’ve formalised a distribution for your beliefs on the value of p_A, you can use this, as a bookmaker, in the assigning of overround to multiple selection markets (or the ‘stripping’ of overround as a trader). From my personal experience, bookmakers seem to prefer to add overround in proportion to the standard deviation of the expected frequency of an outcome, were the event to be played over and over again. However, given that you now have a distribution to describe your uncertainty, the logit-normal distribution, perhaps adding overround in proportion to a fixed shift in logit space would make more sense. At the risk of giving away too many industry secrets I’ll leave the maths up to the reader. Good luck…

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This topic contains 3 replies, has 1 voice, and was last updated by  thewhitecell 2 years, 11 months ago.

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  • #880
      Sports Trading Network 
    Keymaster

    Sam Hyatt-Twynam talks about the ‘logit’ function and its usage in statistical sports trading and modelling

    [See the full post at: The Logit Function and its Applications in Sports Modelling]

  • #881
     Paul Parsons

    Interesting piece. I’ve always used the beta distribution as the prior when dealing with a probability, constrained on (0, 1), but will certainly give logit-normal a spin next time I’m doing this. Thanks for posting!

  • #882
     Dennis

    As a basketball trader I have made my own model in order to trade basketball live and till now I had quite good profit. Specially the under/overs and the hcap. Usually the model that bet365 use gives a lot of opportunities to the players if they have knowledge about basketball.

  • #883
     thewhitecell

    I came across this post as my supervisor suggested using a logit model/logistic regression for a tennis simulator I am trying to create. I am not quite sure how this works practically/mathematically though, so would appreciate any advice you might be able to give. Specifically I am trying to make a ‘random’ simulator so that I can see how many times streaks of wins or losses occur, and then compare this to historical data to see if ‘The Hot Hand Effect’ exists or not. i.e. Do streaks of wins or losses occur more or less often than would be expected by chance. I start by creating a pool of players and assign them a strength score between 0 and 10 from a normal distribution of mean 5 standard deviation 2.

    When I come to pair players together and decide the outcome, I thought to somehow input the difference in strength scores into the logit model to give me a probability to put into a cointoss, with the probability of a head, i.e. a win for Player A, being equal to the output of the logit model. ‘Somehow’ is obviously very vague as I do not know how this would work, or even if it mathematically makes any sense. If Player A has a strength of 9, and Player B of 8, how would I use the logit function to decide the outcome?

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